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Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180

Editorial note: special issues of annals of financial economics (AFE)

McAleer, Michael - In: Annals of financial economics 12 (2017) 4, pp. 1-2

Persistent link: https://www.econbiz.de/10011850375

Ranking leading econometrics journals using citations data from ISI and RePEc

Chang, Chia-Lin; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 3, pp. 217-235

The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI and the highly accessible Research Papers in Economics...

Persistent link: https://www.econbiz.de/10010236715

From disorder to order

Yue, Xiaoguang; Cao, Yong; McAleer, Michael - In: Theoretical economics letters 6 (2016) 2, pp. 282-288

Persistent link: https://www.econbiz.de/10011545643

Robust ranking of journal quality : an application to economics

Chang, Chia-Lin; Maasoumi, Esfandiar; McAleer, Michael - In: Econometric reviews 35 (2016) 1/4, pp. 50-97

Persistent link: https://www.econbiz.de/10011549882

Frontiers in time series and financial econometrics: An overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 245-250

Persistent link: https://www.econbiz.de/10011503737

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

Quality weighted citations versus total citations in the sciences and social sciences, with an application to finance and accounting

Chang, Chia-Lin; McAleer, Michael - In: Managerial finance 42 (2016) 4, pp. 324-337

Persistent link: https://www.econbiz.de/10011508138

Econometric analysis of financial derivatives: an overview

Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407

Persistent link: https://www.econbiz.de/10011499624

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446

Persistent link: https://www.econbiz.de/10011499703

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